Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1371 |
| Annualized Std Dev | 0.1771 |
| Annualized Sharpe (Rf=0%) | 0.7741 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2940.0000 |
| NAs | 1.0000 |
| Minimum | -0.1159 |
| Quartile 1 | -0.0037 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0006 |
| Geometric Mean | 0.0005 |
| Quartile 3 | 0.0056 |
| Maximum | 0.0950 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0002 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0001 |
| Stdev | 0.0112 |
| Skewness | -0.6293 |
| Kurtosis | 14.4961 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0083 |
| Gain Deviation | 0.0077 |
| Loss Deviation | 0.0094 |
| Downside Deviation (MAR=210%) | 0.0127 |
| Downside Deviation (Rf=0%) | 0.0080 |
| Downside Deviation (0%) | 0.0080 |
| Maximum Drawdown | 0.3612 |
| Historical VaR (95%) | -0.0167 |
| Historical ES (95%) | -0.0274 |
| Modified VaR (95%) | -0.0164 |
| Modified ES (95%) | -0.0315 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2020-02-20 | 2020-03-23 | 2020-09-02 | -0.3612 | 137 | 23 | 114 |
| 2018-09-24 | 2018-12-24 | 2019-11-01 | -0.2141 | 280 | 64 | 216 |
| 2011-05-02 | 2011-10-03 | 2012-03-13 | -0.2039 | 219 | 108 | 111 |
| 2010-04-16 | 2010-07-02 | 2010-11-04 | -0.1574 | 142 | 55 | 87 |
| 2015-05-22 | 2016-02-11 | 2016-07-08 | -0.1479 | 284 | 182 | 102 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | NA | 0 | -1.7 | -2.5 | -2.7 | 1.1 | -0.9 | -6.7 |
| 2010 | 0.9 | 1.1 | 0.5 | -1.5 | -2.4 | -0.1 | -0.2 | 3 | 0.3 | 0.1 | 2.2 | -0.2 | 3.6 |
| 2011 | 1.9 | -1.2 | 0.4 | 0.2 | -1.8 | 1.5 | -0.6 | -1.4 | -2.3 | -3.3 | -0.1 | -0.2 | -6.9 |
| 2012 | 1 | 0.5 | 0.3 | 0.6 | -2.4 | 3.6 | 0.1 | 0.5 | 0.5 | 0.6 | 0.2 | 1.7 | 7.5 |
| 2013 | 1 | 0.3 | -0.3 | -0.9 | -1.3 | 0.2 | 1.4 | -0.5 | 0.7 | 0.1 | -0.1 | 0.2 | 0.9 |
| 2014 | -0.7 | 0.2 | 0.7 | -0.1 | 0.2 | 0.7 | -0.3 | 0.3 | -1.4 | 1.1 | -0.7 | -1.1 | -1.1 |
| 2015 | -1.3 | -0.3 | -0.6 | 1.3 | 0 | 0.7 | 0.2 | -2.9 | 0.1 | -0.2 | 1 | -0.8 | -2.8 |
| 2016 | 0.2 | 2.6 | 0.6 | -0.7 | 0.1 | 0.1 | -0.4 | -0.2 | 0.6 | -0.8 | -0.5 | -0.4 | 1.1 |
| 2017 | 0.1 | 1.3 | -0.1 | 0.3 | 0.8 | 0.4 | 0.1 | 0.4 | 0.2 | 0.1 | -0.1 | -0.6 | 3.1 |
| 2018 | 0 | -0.9 | 1.5 | 0.2 | 0.9 | 0 | -0.2 | 0 | 0.2 | 0.9 | 0.6 | 0.9 | 4.1 |
| 2019 | -0.1 | 0.4 | 1.5 | -1 | -1.1 | 0.8 | -1.3 | 0.1 | -1.3 | 1.2 | -0.3 | 0.4 | -0.8 |
| 2020 | -1.6 | -1.5 | -4.6 | -2.8 | 0.2 | 0.2 | 0.8 | 0.9 | 0.2 | -1.4 | 1 | 0.5 | -8.3 |
| 2021 | 1.9 | 2.1 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.5 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
